Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia

41 Pages Posted: 23 Jun 2005 Last revised: 20 Jul 2022

See all articles by Jianping Mei

Jianping Mei

Cheung Kong Graduate School of Business

Wei Xiong

Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

José A. Scheinkman

Columbia University; Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: May 2005

Abstract

The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares.

Suggested Citation

Mei, Jianping and Xiong, Wei and Scheinkman, José, Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (May 2005). NBER Working Paper No. w11362, Available at SSRN: https://ssrn.com/abstract=727142

Jianping Mei

Cheung Kong Graduate School of Business ( email )

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Wei Xiong (Contact Author)

Princeton University - Department of Economics ( email )

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United States

National Bureau of Economic Research (NBER)

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José Scheinkman

Columbia University ( email )

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Princeton University - Department of Economics ( email )

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National Bureau of Economic Research (NBER) ( email )

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